Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0049
Annualized Std Dev 0.2992
Annualized Sharpe (Rf=0%) -0.0163

Row

Daily Return Statistics

Close
Observations 4566.0000
NAs 1.0000
Minimum -0.3363
Quartile 1 -0.0041
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.5777
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0004
Stdev 0.0188
Skewness 5.3292
Kurtosis 240.2485

Downside Risk

Close
Semi Deviation 0.0125
Gain Deviation 0.0179
Loss Deviation 0.0162
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.8452
Historical VaR (95%) -0.0170
Historical ES (95%) -0.0392
Modified VaR (95%) NA
Modified ES (95%) -0.0018
From Trough To Depth Length To Trough Recovery
2004-03-30 2008-10-10 NA -0.8452 4274 1143 NA
2003-07-08 2003-07-29 2003-10-01 -0.0491 61 16 45
2004-02-18 2004-02-24 2004-03-10 -0.0367 16 5 11
2003-02-11 2003-03-24 2003-05-30 -0.0334 76 29 47
2003-12-09 2003-12-09 2003-12-24 -0.0279 12 1 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 0.2 -0.1 0.2 0.2 0.6 0.1 0 0.2 0.8 -0.4 -0.3 0 1.4
2004 -0.1 0.4 -0.5 0.8 1 0.6 0 0.2 -0.1 0 -0.4 1 2.8
2005 0.7 0.4 -0.6 0.7 0.8 -0.3 -0.4 -1.4 0.2 1 -0.1 -0.4 0.5
2006 0.8 1 -0.7 -0.7 -0.1 0.9 0 1.5 0.1 1 0.2 -0.4 3.7
2007 0.3 0.2 -0.1 0.3 0.8 0.6 -0.8 1 1.5 -1 3.1 0.7 6.8
2008 0.2 -1.1 1.5 2.6 0.5 -0.4 1.7 -0.1 2 3.6 -11.9 5.6 3.1
2009 -0.7 -3.5 3.6 -1 5.9 1.5 0.8 -0.7 -0.5 -3.4 2.5 0.7 4.9
2010 0.8 1.4 1 -0.1 -0.9 -3.1 0.9 0.9 0.5 -0.6 -0.4 0 0.4
2011 0.4 -0.2 0.1 0.3 -1.5 0.3 2.2 -1 -4.6 -0.2 -0.2 0 -4.4
2012 -0.3 -0.4 -0.5 0.5 -1.3 0.9 0.3 0.4 0.7 1.5 0.3 2.7 4.8
2013 -1.5 0.1 -0.8 -0.9 -3.3 -0.6 -1.1 -0.5 0.2 0.2 0.1 -0.2 -8.1
2014 0.1 -0.7 0.7 0.2 0 0.8 -0.3 0.6 0.6 0.8 -0.1 -4.1 -1.6
2015 -0.5 0.2 0.2 0 -0.2 2.3 0.1 0.8 -0.7 1.1 -0.5 -0.6 2.1
2016 0.2 0.3 -0.4 -0.4 0.8 0.2 0.3 0 0.6 -1.1 -2.3 -0.1 -2
2017 0.3 0.3 0.5 0.6 0.2 0.7 0.8 -0.3 0.8 1 0.2 0.5 5.7
2018 1.2 0.3 0.9 0.5 0.3 0.5 -0.1 -0.1 0 0.9 -0.3 0.5 4.7
2019 0.2 0.1 0.6 0.4 -0.5 -0.1 0.5 -0.1 0.5 0.5 -0.7 0.5 1.8
2020 -0.1 -4.4 -9.6 -1.8 2.4 0.4 0 0.5 1 -0.3 0.6 1.4 -10
2021 -0.3 0.9 0.8 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart